Detection and mitigation of effects of high velocity price changes

ABSTRACT

The disclosed embodiments relate to mechanisms to rapidly detect and respond to situations where a market is not operating in a fair and balanced manner or otherwise where the market value is not reflective of a true consensus of the value of the traded products among the market participants. In particular, the disclosed embodiments continually scan for, rapidly detect and respond to extreme changes, either up (“spike”) or down (“dip”) in the market, such as a “flash crash,” where a precipitous market move occurs. Generally, the disclosed embodiments determine when a market for a particular product moves too quickly in too short of period of time, e.g. the velocity of the market exceeds a defined threshold limit.

REFERENCE TO RELATED APPLICATIONS

This application is a continuation under 37 C.F.R. §1.53(b) of U.S.patent application Ser. No. 13/633,703 filed Oct. 2, 2012 (AttorneyDocket No. 4672-12012BUS) now U.S. Pat. No. ______, which claims thebenefit of the filing date under 35 U.S.C. §119(e) of U.S. ProvisionalApplication Ser. No. 61/704,173 filed Sep. 21, 2012, which is herebyincorporated by reference.

BACKGROUND

A financial instrument trading system, such as a futures exchange,referred to herein also as an “Exchange”, such as the Chicago MercantileExchange Inc. (CME), provides a contract market where financialinstruments, for example futures and options on futures, are traded.Futures is a term used to designate all contracts for the purchase orsale of financial instruments or physical commodities for futuredelivery or cash settlement on a commodity futures exchange. A futurescontract is a legally binding agreement to buy or sell a commodity at aspecified price at a predetermined future time. An option is the right,but not the obligation, to sell or buy the underlying instrument (inthis case, a futures contract) at a specified price within a specifiedtime. The commodity to be delivered in fulfillment of the contract, oralternatively the commodity for which the cash market price shalldetermine the final settlement price of the futures contract, is knownas the contract's underlying reference or “underlier.” The terms andconditions of each futures contract are standardized as to thespecification of the contract's underlying reference commodity, thequality of such commodity, quantity, delivery date, and means ofcontract settlement. Cash Settlement is a method of settling a futurescontract whereby the parties effect final settlement when the contractexpires by paying/receiving the loss/gain related to the contract incash, rather than by effecting physical sale and purchase of theunderlying reference commodity at a price determined by the futurescontract, price.

Typically, the Exchange provides for a centralized “clearing house”through which all trades made must be confirmed, matched, and settledeach day until offset or delivered. The clearing house is an adjunct tothe Exchange, and may be an operating division of the Exchange, which isresponsible for settling trading accounts, clearing trades, collectingand maintaining performance bond funds, regulating delivery, andreporting trading data. The essential role of the clearing house is tomitigate credit risk. Clearing is the procedure through which theClearing House becomes buyer to each seller of a futures contract, andseller to each buyer, also referred to as a novation, and assumesresponsibility for protecting buyers and sellers from financial loss dueto breach of contract, by assuring performance on each contract. Aclearing member is a firm qualified to clear trades through the ClearingHouse.

Current financial instrument trading systems allow traders to submitorders and receive confirmations, market data, and other informationelectronically via a network. These “electronic” marketplaces havelargely supplanted the pit based trading systems whereby the traders, ortheir representatives, all physically stand in a designated location,i.e. a trading pit, and trade with each other via oral and hand basedcommunication. Anyone standing in or near the trading pit may be privyto the trades taking place, i.e. both who is trading and what they aretrading, allowing, for example, one participant to derive and/orundermine another participant's trading strategy and thereby garner anunfair advantage or otherwise skew the market. Electronic tradingsystems, in contrast, ideally attempt offer a more efficient, fair andbalanced market where market prices reflect a true consensus of thevalue of traded products among the market participants, where theintentional or unintentional influence of any one market participant isminimized if not eliminated, and where unfair or inequitable advantageswith respect to information access are minimized if not eliminated.

The speed in which trades are executed through electronic tradingsystems provide many benefits. Electronic trading systems can facilitatea large number of market transactions. The greater the number of markettransactions, the greater a market's liquidity. In liquid markets,prices are driven by competition; prices reflect a consensus of aninvestment's value; and trading systems provide a free and opendissemination of information. With the advent of improved computationaland communications capabilities, the speed and efficiency with whichtraders may receive information and trade in electronic trading systemshas greatly improved. Algorithmic and high frequency trading utilizecomputers to quickly analyze market information and place tradesallowing traders to take advantage of even smallest movements in prices.

Unfortunately, this improved speed and efficiency also improves thespeed at which problems may occur and propagate, such as where themarket ceases to operate as intended, i.e. the market no longer reflecta true consensus of the value of traded products among the marketparticipants. Such problems are typically evidence by extreme marketactivity such as large changes in price, whether up or down, over ashort period of time or an extreme volume of trades taking place.

In particular, traders, whether human or electronic, may not alwaysreact in a rational manner, such as when presented with imperfectinformation, when acting in fraudulent or otherwise unethical manner,and/or due to faulty training or design. For example, whilecommunications technologies may have improved, inequities in access toinformation and opportunities to participate still exist, which may ormay not be in compliance with legislative, regulatory and/or ethicalrules, e.g. some traders receive information before other traders, sometraders may be able to place trader orders more quickly than others. Inmany cases, irrational trader behavior may be triggered by a marketevent, such as a change in price, creating a feedback look where theinitial irrational reaction may then cause further market events, suchas a continued price drop, triggering further irrational behavior and anextreme change in the price of the traded product in a short period oftime. High speed trading exacerbates the problem as there may be littletime for traders, or those overseeing them, to contemplate theirreactions before significant losses may be incurred. Furthermore,improved communications among traders facilitates propagation ofirrational behavior in one market to other markets as traders in thoseother markets react to the results of the irrational behavior.

To mitigate risk and ensure a fair and balanced market, electronictrading systems need to provide mechanisms to rapidly detect and respondto situations where a market is not operating in a fair and balancedmanner or otherwise where the market value is not reflective of a trueconsensus of the value of the traded products among the marketparticipants.

BRIEF DESCRIPTION OF THE DRAWINGS

FIG. 1 depicts an illustrative computer network system that may be usedto implement aspects of the present invention

FIG. 2 a block diagram of an exemplary implementation of the system ofFIG. 1 for administering futures contracts, according to one embodiment.

FIG. 3 depicts a flow chart showing operation of the system of FIGS. 1and 2.

FIG. 4 shows an illustrative embodiment of a general computer system foruse with the system of FIGS. 1 and 2.

FIG. 5 shows representations of the operation of the system of FIG. 2.

FIG. 6 shows a graph of exemplar operation of the system of FIG. 2.

DETAILED DESCRIPTION

The disclosed embodiments relate to mechanisms to rapidly detect andrespond to situations where a market is not operating in a fair andbalanced manner or otherwise where, for example, the market value is notreflective of a true or rational consensus of the value of the tradedproducts among the market participants. In particular, the disclosedembodiments continually scan for, rapidly detect and respond to extremechanges, either up (“spike”) or down (“dip”) in the market where aprecipitous market move/change occurs. Once detected, the disclosedembodiments may respond by taking an action such as notifying theoperator of the exchange, such as the Global Control Center (“GCC”) ofthe Chicago Mercantile Exchange (“CME”), placing the market in a pausedor reserved state, described in more detail below, establishingpermanent or temporary trade price limitations, or other actions, orcombinations thereof, to mitigate the effects of the extreme change, soas to, for example, slow down the market or otherwise allow traders timeto adequately analyze and react to market conditions.

Systems exist to handle extreme market changes due to the execution ofstop orders as, in a futures market that has few resting orders but manystop orders, an order executed at a limit price can cause a cascadingexecution of buy or sell stop orders. The triggering and election ofthese stop orders can seem almost instantaneous lowering the value of amarket in just a few seconds. The problem may occur when one or moretrades bring many stop orders into the market. A fast execution of thesestop orders may prevent opposite side orders from entering the market,preventing buyers from competing against other buyers and sellers fromcompeting against other sellers. See, for example, U.S. Pat. Nos.8,103,576 and 8,112,347 and U.S. Patent Publication No. 2005/0108141 A1,herein incorporated by reference in their entirety. However, extrememarket moves can occur that are not precipitated by Stop Orders, therebymaking such “Stop Price Logic” ineffectual. Accordingly, the disclosedembodiments detect and respond to extreme market changes regardless ofwhether or not they may be precipitated by a stop order.

While the disclosed embodiments may be described with reference to theirapplicability to electronic trading systems which trade futurescontracts, and derivatives thereof, it will be appreciated that they maybe applicable to any electronic trading system, e.g. which tradederivatives, equities or other products.

It will be appreciated that a trading environment, such as a futuresexchange as described herein, implements one or more economic marketswhere rights and obligations may be traded. As such, a tradingenvironment may be characterized by need to maintain market integrity,transparency, predictability, fair/equitable access and participantexpectations with respect thereto. For example, an exchange must respondto inputs, such as trader orders, cancellation, etc., in a manner asexpected by the market participants, such as based on market data, e.g.prices, available counter-orders, etc., to provide an expected level ofcertainty that transactions will occur in a consistent and predictablemanner and without unknown or unascertainable risks. In addition, itwill be appreciated that electronic trading systems further imposeadditional expectations and demands by market participants as totransaction processing speed, latency, capacity and response time, whilecreating additional complexities relating thereto. Accordingly, as willbe described, the disclosed embodiments may further includefunctionality to ensure that the expectations of market participant aremet, e.g. that transactional integrity and predictable system responsesare maintained.

Generally, the disclosed embodiments determine when a market for aparticular product moves too quickly, either up or down, in too short ofperiod of time, e.g. the velocity of the market exceeds a definedthreshold limit. The market parameter(s), or derivations thereof,monitored for movement, the basis for determination of a qualifyingmagnitude of movement, and/or the duration of the requisite period oftime over which a qualifying change may occur, may be configurable, aswill be described, and implementation dependent, so as to allow thedisclosed embodiments to balance performance versus the ability toaccurately discriminate between extreme movements in the market whichare reflective of valid market operation from those that are not. Whilethe disclosed embodiments will be described with respect to a product byproduct or market by market implementation, e.g. implemented for eachmarket/order book, it will be appreciated that the disclosed embodimentsmay be implemented so as to apply across markets for multiple productstraded on one or more electronic trading systems, such as by monitoringan aggregate, correlated or other derivation of the relevant indicativeparameters as described herein.

The disclosed embodiments effectively periodically sample, derive orotherwise measure a parameter indicative of the market value of aproduct, such as a futures contract. The market for the product may alsobe referred to as an order book. Parameters indicative of the marketvalue include the most recent price at which a trade was matched orquantity associated therewith, the most recently received, i.e. via anincoming order, bid price or quantity associated therewith, the mostrecently received, i.e. via an incoming order, ask price or quantityassociated therewith, the current lowest ask price for an unmatchedtrade order resting in the order book or quantity associated therewith,the current highest bid price for an unmatched trade order resting inthe order book or quantity associated therewith, combinations thereof orderivations therefrom, such as volatility, average, difference fromhistorical values or other parameter, statistical or otherwise,indicative of the conditions under which the market is operating. Whenmonitoring price based parameters, the values associated therewith maybe measured in ticks, points or other metric. Time may be measured insecond or milliseconds, or other increment. When sampling, deriving orotherwise measuring a parameter that is derived from an incoming tradeorder, such as the order price, every trade may be sampled or otherwiseanalyzed for comparison as will be described.

The current sampled, derived or measured parameters are compared withone or more sampled, derived, measured or computed values, or rangesthereof, representative of each interval or slice of time preceding thecurrent sample, the collection of which may be referred to as a windowas well as, in one embodiment, with some or all of the previous valuessampled, derived or measured within the current interval. FIG. 5 showsdiagrams depicting various representation of the manner in which samplesare obtained and compared according one embodiment. The disclosedembodiments sample or otherwise derive the market value parameter(P_(n)), or a high (V_(hi)) and/or low (V_(lo)) value thereof, at aparticular frequency, e.g. upon the elapse of a duration of time orinterval/slice such as 1 second (i_(n)) representative of the value overthe duration of the interval, e.g. the highest and/or lowest value overthe interval. Initially, when a trading period commences or otherwisethere is no market history, e.g. the market opens, or otherwise whenoperation of the disclosed embodiments is initiated (or after asufficient period of market inactivity as will be described below), thefirst sample of the market value parameter (P₁) may be defined, such asstatically, or otherwise derived, such as based on the parameter valueat the close of the prior trading period, the first value sampled,derived or measured upon commencement of the trading period, or based onsome other method such as derivation of an indicative opening price.During each interval or time slice, the sampled market parameter value,e.g. of each incoming trade, is compared with one or more parametersindicative of the market value determined during each of a definednumber of preceding intervals described above, as well as, in oneembodiment, each preceding market parameter value sampled, derived ormeasured during the current interval. In one embodiment, the sampled orderived parameter obtained during the current interval may be comparedwith comparative parameters/values such as the values of the previouslyacquired samples of the requisite preceding intervals, as well as thepreceding values of the current interval. In an alternative embodiment,at each interval other comparative parameters are determined, such asthe highest and lowest value of the monitored parameter over theduration of particular interval, to which the sampled parameter obtainedduring the current interval is compared. For the current interval, suchhighest and lowest values are determined as each market parameter issampled, measured or derived, for comparison with the most currentmarket parameter value.

As noted above, the number of preceding intervals/slices which aresubject to comparison is configurable and effectively defines a rollingwindow of time where older intervals are discarded as time movesforward, e.g. new intervals commence. In one implementation, thisrolling time window may be structured or otherwise conceptualized asmultiple overlapping sampling/monitoring windows or threads, referred toas overlapping time buckets, (b_(n)) 604 which run for a defined periodof time and where a new time bucket is commenced, the market valueparameter is sampled or otherwise determined or derived, upon eachelapse of the interval time i, and time buckets commenced at a timeolder than the defined number of preceding intervals are discarded. Thenumber of active time buckets, the duration thereof, and the interval atwhich buckets are started then defines the window of time over which, orotherwise how far back, the disclosed embodiments operate. In oneembodiment, if there has been no market activity during any of theintervals within the time window, the disclosed system considers thenext market event to be akin to the start of a new trading period asdescribed above.

It will be appreciated that whether the disclosed embodiments areconceptualized as overlapping time buckets or as a duration of firmdefined by intervals or slices, as described, or in any other manner,may be implementation dependent and all such conceptualizations, now orlater developed, are contemplated herein.

In one embodiment, the time window over which an incoming order iscompared may be defined order by order, e.g. based on the incomingorder. That is, each incoming order has its own time window wherein theincoming order is compared with values within its associated timewindow. For example, each incoming order may be compared with precedingorder received in the window preceding the current order. As describedelsewhere, the window may be specified as an amount of time or a numberof intervals.

As noted above, each sampled, derived or measured value obtained duringthe current interval or slice is compared with one or more comparativevalues determined for each preceding interval/slice with the definedtime range of the current time, referred to as the “time window,” aswell as, in one embodiment, each preceding sampled, derived or measuredvalue, or the highest and or lowest thereof, of the current interval. Ifthe sampled value deviates, i.e. is above or below, from any of thecomparative values by a threshold amount, which may be configurable andmay be zero, the disclosed embodiments may indicate a qualifying eventand indicate that action should be taken. In one implementation, thethreshold amount is not less than 1. The threshold amount may bestatically or dynamically configured and reflects the magnitude ofmarket movement between compared values that may be tolerated, i.e. thethreshold amount delineates magnitude of movement/change, up or down,considered to be normal for the market and avoids, for example, placinga market in a reserved state that is not, in fact, under duress. Thiscomparison may be represented by the chart 606 shown in FIG. 6 whichdemonstrates, according to one embodiment, how the sampled parametersobtained during the interval i₄ are compared with each of the precedingvalues sampled in interval i₄ as well as the values P₄, P₃, P₂ and P₁,or the high (V_(hi)) or low (V_(lo)) values thereof, of the precedingintervals. As shown in this chart 606, the disclosed embodiments mayeffectively measure the steepness, which may be positive, as shown inthe Figure, or negative, of the slope between the market value at thecurrent interval and each of the preceding intervals where a qualifyingevent may be determined when the steepness of the slope, or angle orother value representative thereof, whether positive or negative,exceeds, or otherwise deviates from, a defined threshold valueindicative, for example, of an extreme market movement.

In one embodiment, rapid oscillation or thrashing of the market valuewithin the threshold values may also be detected and may also signifythat the market is not operating properly, triggering the remediesdescribed herein.

In one embodiment, the interval width, referred to below also as theduration of time or time slice length, may be dynamic and may varyinterval to interval such as based on market activity, e.g. volume orvolatility. For example, an interval may be defined as every 10milliseconds or after 10 orders have been received. As the comparativevalues computed at each interval are representative of the activityduring that interval, the amount of activity aggregated together maythereby be normalized. In the case of dynamic interval widths, the timewindow over which values are compared, as described herein, may bespecified in terms of an amount of time, rather than a number ofintervals, so that the window may be a constant size even though theinterval size may vary.

When a qualifying event has been determined, as noted above, thedisclosed embodiments may take, or otherwise cause, an action to occur.This action may include alerting the operator of the electronic tradingsystem or exchange, such as the GCC of the CME, placing the market in areserved state whereby orders may be received and price discovery mayoccur but matching of trades is otherwise suspended, or institute one ormore temporary or permanent limits, such as price limits, e.g. a maximumprice and/or minimum price, wherein only trades at prices within thelimit(s) are allowed, or combinations thereof. In an alternateembodiment, other actions may include enabling additional liquidity,i.e. trading opportunities, for the particular product, such as bytemporarily or permanently, enabling implied opportunities whereby, forexample, additional liquidity may be found in markets for combinationproducts, e.g. spreads, involving the particular product.

With respect to placing the market in a reserved or paused state, whilean instrument may not trade when it is reserved; price discovery maystill occur, e.g. an indicative opening price of that instrument may bederived and disseminated to the market. The indicative opening price mayreflect the price the instrument would be trading at if the market wereopen. Placing an instrument in a reserved state allows marketparticipants to enter additional orders that adjust the indicativeopening price to a level that reflects buyers competing with otherbuyers and sellers vying against other sellers. The present embodimentsmay temporarily suspend trading until the market is adjusted within athreshold range, or when a period of time lapses. The period of time mayvary in length in relation to the time of day, the product traded,market volatility and/or any other relevant market condition orcombination of market conditions. Similarly, the threshold range mayvary by the product and/or the time of day. It will be appreciated thatthe indicative opening price determined when the market is taken out ofthe reserved state, or a sampled, derived or measured value thereof, maybe used as the initial comparative value(s) by the disclosed embodimentsas described above upon resumption of trading.

Because market participants may not be aware that a product or aninstrument is reserved due to the large volume of messages sent over anelectronic trading system or because the market participants are nolonger trading, the present system and method also may encompassindependent communication systems to convey information, warnings, oralerts about an instrument in a reserved state. Such systems can includedevices that send and/or receive messages via telecommunication orwireless links such as portable phones, personal digital assistants(“PDAs”), and/or electronic mail devices, devices that send and/orreceive images and can print them on a tangible media such as faxes,etc. Preferably, these systems make market participants aware of thestate of the market in a narrow timeframe. It will be appreciated thatthe length of time for which the market may be temporarily held in areserved state is implementation dependent and may be configurable,statically or dynamically, and further may vary from market to market.Once the market is reopened, or otherwise taken out of reserved state,the disclosed embodiments may be re-enabled to continue monitoring themarket as described herein.

It will be appreciated that other systems designed to detect and respondto extreme market changes may respond by merely setting a hard pricelimit, i.e. minimum or maximum depending upon the direction of theextreme movement, only within which trades are allowed to occur.However, setting either a maximum or minimum price limit and continuingto allow trading may not address the underlying problem which caused theextreme market movement and the market may reverse and undergo anextreme movement away from the set limit, such as due to the reaction ofalgorithmic trading systems. In contrast, the disclosed embodiments mayplace the market in a reserved state whereby trades are not allowed butprice discovery can still occur. This effectively slows down the marketand enables traders to analyze the market and temper their reactionsthereto.

In accordance with aspects of the disclosure, systems and methods aredisclosed for detecting and responding to extreme market movements. Thedisclosed embodiments are preferably implemented with computer devicesand computer networks, such as those described with respect FIG. 4, thatallow users, e.g. market participants, to access exchange tradinginformation. It will be appreciated that the plurality of entitiesutilizing the disclosed embodiments, e.g. the market participants, maybe referred to by other nomenclature reflecting the role that theparticular entity is performing with respect to the disclosedembodiments and that a given entity may perform more than one roledepending upon the implementation and the nature of the particulartransaction being undertaken, as well as the entity's contractual and/orlegal relationship with another market participant and/or the exchange.An exemplary trading network environment for implementing tradingsystems and methods is shown in FIG. 1. An exchange computer system 100receives orders and transmits market data related to orders and tradesto users, such as via computer devices 114, 116, 118, 120 and 122, aswill be described below, coupled with the exchange computer system 100.As used herein, an exchange 100 includes a place or system that receivesand/or executes orders for traded products.

Herein, the phrase “coupled with” is defined to mean directly connectedto or indirectly connected through one or more intermediate components.Such intermediate components may include both hardware and softwarebased components. Further, to clarify the use in the pending claims andto hereby provide notice to the public, the phrases “at least one of<A>, <B>, . . . and <N>” or “at least one of <A>, <B>, . . . <N>, orcombinations thereof” are defined by the Applicant in the broadestsense, superseding any other implied definitions herebefore orhereinafter unless expressly asserted by the Applicant to the contrary,to mean one or more elements selected from the group comprising A, B, .. . and N, that is to say, any combination of one or more of theelements A, B, . . . or N including any one element alone or incombination with one or more of the other elements which may alsoinclude, in combination, additional elements not listed.

The exchange computer system 100 may be implemented with one or moremainframe, desktop or other computers, such as the computer 400described below with respect to FIG. 4. A user database 102 may beprovided which includes information identifying traders and other usersof exchange computer system 100, such as account numbers or identifiers,user names and passwords. An account data module 104 may be providedwhich may process account information that may be used during trades. Amatch engine module 106 may be included to match bid and offer pricesand may be implemented with software that executes one or morealgorithms for matching bids and offers. A trade database 108 may beincluded to store information identifying trades and descriptions oftrades. In particular, a trade database may store informationidentifying the time that a trade took place and the contract price. Anorder book module 110 may be included to compute or otherwise determinecurrent bid and offer prices for one or more products. A market datamodule 112 may be included to collect market data and prepare the datafor transmission to users. A risk management module 134 may be includedto compute and determine a user's risk utilization in relation to theuser's defined risk thresholds. An order processing module 136 may beincluded to decompose delta based and bulk order types for processing bythe order book module 110 and/or match engine module 106. A volumecontrol module 140 may be included to, among other things, control therate of acceptance of mass quote messages.

The trading network environment shown in FIG. 1 includes exemplarycomputer devices 114, 116, 118, 120 and 122 which depict differentexemplary methods or media by which a computer device may be coupledwith the exchange computer system 100 or by which a user maycommunicate, e.g. send and receive, trade or other informationtherewith. It will be appreciated that the types of computer devicesdeployed by traders and the methods and media by which they communicatewith the exchange computer system 100 is implementation dependent andmay vary and that not all of the depicted computer devices and/ormeans/media of communication may be used and that other computer devicesand/or means/media of communications, now available or later developedmay be used. Each computer device 114 116, 118, 120 and 122, which maycomprise a computer 400 described in more detail below with respect toFIG. 4, may include a central processor that controls the overalloperation of the computer and a system bus that connects the centralprocessor to one or more conventional components, such as a network cardor modem. Each computer device 114, 116, 118, 120 and 122 may alsoinclude a variety of interface units and drives for reading and writingdata or files and communicating with other computer devices and with theexchange computer system 100. Depending on the type of computer device114, 116, 118, 120 and 122, a user can interact with the computer with akeyboard, pointing device, touch interface, microphone, pen device orother input device now available or later developed.

An exemplary computer device 114 is shown directly connected to exchangecomputer system 100, such as via a T1 line, a common local area network(LAN) or other wired and/or wireless medium for connecting computerdevices. The exemplary computer device 114 is further shown connected toa radio 132. The user of radio 132, which may include a cellulartelephone, smart phone, or other wireless proprietary and/ornon-proprietary device, may be a trader or exchange employee. The radiouser may transmit orders or other information to the exemplary computerdevice 114 or a user thereof. The user of the exemplary computer device114, or the exemplary computer device 114 alone and/or autonomously, maythen transmit the trade or other information to the exchange computersystem 100.

Exemplary computer devices 116 and 118 are coupled with a local areanetwork (“LAN”) 124 which may be configured in one or more of thewell-known LAN topologies, e.g. star, daisy chain, etc., and may use avariety of different protocols, such as Ethernet, TCP/IP, etc. Theexemplary computer devices 116 and 118 may communicate with each otherand with other computer and other devices which are coupled with the LAN124. Computer and other devices may be coupled with the LAN 124 viatwisted pair wires, coaxial cable, fiber optics or other wired orwireless media. As shown in FIG. 1, an exemplary wireless personaldigital assistant device (“PDA”) 122, such as a mobile telephone, tabletbased compute device, or other wireless device, may communicate with theLAN 124 and/or the Internet 126 via radio waves, such as via WiFi,Bluetooth and/or a cellular telephone based data communicationsprotocol. PDA 122 may also communicate with exchange computer system 100via a conventional wireless hub 128.

FIG. 1 a so shows the LAN 124 coupled with a wide area network (“WAN”)126 which may be comprised of one or more public or private wired orwireless networks. In one embodiment, the WAN 126 includes the Internet126. The LAN 124 may include a router to connect LAN 124 to the Internet126. Exemplary computer device 120 is shown coupled directly to theInternet 126, such as via a modem, DSL line, satellite dish or any otherdevice for connecting a computer device to the Internet 126 via aservice provider therefore as is known.

As was described above, the users of the exchange computer system 100may include one or more market makers 130 which may maintain a market byproviding constant bid and offer prices for a derivative or security tothe exchange computer system 100, such as via one of the exemplarycomputer devices depicted. The exchange computer system 100 may alsoexchange information with other trade engines, such as trade engine 138.One skilled in the art will appreciate that numerous additionalcomputers and systems may be coupled to exchange computer system 100.Such computers and systems may include clearing, regulatory and feesystems.

The operations of computer devices and systems shown in FIG. 1 may becontrolled by computer-executable instructions stored on anon-transitory computer-readable medium. For example, the exemplarycomputer device 116 may include computer-executable instructions forreceiving order information from a user and transmitting that orderinformation to exchange computer system 100. In another example, theexemplary computer device 118 may include computer-executableinstructions for receiving market data from exchange computer system 100and displaying that information to a user.

Of course, numerous additional servers, computers, handheld devices,personal digital assistants, telephones and other devices may also beconnected to exchange computer system 100. Moreover, one skilled in theart will appreciate that the topology shown in FIG. 1 is merely anexample and that the components shown in FIG. 1 may include othercomponents not shown and be connected by numerous alternativetopologies.

As will be described, the disclosed embodiments may be implemented aspart of the Risk Management Module 134 and/or Match Engine Module 106 aswill be describe with reference to FIG. 2. However, it will beappreciated that the disclosed mechanisms may be implemented at anylogical and/or physical point(s), or combinations thereof, at which therelevant may be monitored or is otherwise accessible or measurable,including one or more gateway devices, modems, the computers orterminals of one or more traders, etc.

FIG. 2 depicts a block diagram of a system 200, which may be referred toas “Velocity Logic,” for mitigating effects of change in a market for aproduct, such as a financial instrument, which in an exemplaryimplementation, is implemented as part of the risk management module 134and/or Match Engine Module 106 of the exchange computer system 100described above. The financial instrument may be financial derivativeproduct including futures contracts, options on futures contracts,futures contracts that are functions of or related to other futurescontracts, swaps, swaptions, or other financial instruments that havetheir price related to or derived from an underlying product, security,commodity, equity, index, or interest rate product. In one embodiment,the orders are for options contracts that belong to a common optionclass. Orders may also be for baskets, quadrants, other combinations offinancial instruments, etc. The option contracts may have a plurality ofstrike prices and/or comprise put and call contracts.

FIG. 2 shows a system 200 for mitigating an effect of a change in amarket, such as a precipitous or otherwise extreme price change or othermarket move, either up or down, in short amount of time, for a producttraded on an exchange, such as a financial instrument, e.g. futurescontracts, options contracts, etc. The system 200 includes a processor202 and a memory 204 coupled therewith which may be implemented as aprocessor 402 and memory 404 as described below with respect to FIG. 4.The system 200 further includes first logic 206 stored in the memory 204and executable by the processor 202 to cause the processor 202 tomonitor the market for the product. In one embodiment, the system 200 iscoupled with the order books module 110 described above and monitors therelevant parameters of the order book maintained for the product. Itwill be appreciated that the system 200 may be coupled other modules ofthe exchange computer system 100 so as to have access to the relevantparameters as described herein and initiate the requisite actions asfurther described. The disclosed embodiments may be implementedseparately for each market/order book to be monitored, such as aseparate process or thread, or may be implemented as a single system forall markets/order books to be monitored thereby. In one embodiment, data218 representative of each time interval/window/elapse of the durationof time, e.g. each time slice, 220 may be stored in the memory 204 orelsewhere.

The system 200 further includes second logic 208 stored in the memory204 and executable by the processor 202 to cause the processor 202 toidentify, e.g. sample, a comparison value of the product, e.g. a valueduring each elapse of a duration of time which will be compared withprior values as described herein, such as bid or ask price of anincoming order (“aggressor”) or a trade price thereof if matched to aresting order, and at least one comparative value 222 of the product,which may be stored, such as in the memory 204, for example inassociation with the data representative of the time window 220, forlater comparison with future identified comparison values upon eachelapse of the duration of time, e.g. each interval i_(n) as shown inFIG. 6, and determining each previously identified comparative valueidentified within a threshold time thereof. As described above, duringeach the elapse of the time, each comparison value may further becompared with comparative values comprising the preceding comparisonvalues, or a derivation thereof, determined during the elapse of time.As described herein, the comparative value may be derived from the sameor a different parameter from the comparison value and more than onecomparative value may be determined, such as a minimum and maximumthereof. Upon initiation of monitoring, such as when the market opens orre-opens or trading otherwise commences or after a sufficient period ofinactivity (such as within the threshold time), the initial comparisonand comparative values may be initialized to configured values orotherwise defined according to rules such as being based on the state ofthe market at the close of the prior trading period, e.g. based on anindicative opening price.

In one embodiment for use in markets for which outright orders (ordersactually placed by a trader) as well as implied orders (orders generatedby the Exchange based on outright orders placed in other markets, e.g.spread orders), may be received, only aggressor orders, i.e. outrightorders, may be included in the derivation of the comparative values andfurther utilized as comparison values. In this embodiment, receivedimplied orders may be ignored by the system 200.

In one embodiment, the value of the product comprises, for example, abid price of the product, an ask price of the product, a last tradedprice of the product, a last traded quantity of the product, avolatility of the product, or other market attribute value, orcombination thereof. It will be appreciated that the value of theproduct may be determined according to other metrics of product value.

In one embodiment, the second logic 208 is further executable by theprocessor 202 to cause the processor 202 to determine the comparisonvalue of the product as a value of each order to trade the productreceived during the elapse of the duration of time, e.g. the bid price,the ask price or trade price. In one embodiment, the comparative valueis derived from the same parameter as the comparison value. It will beappreciated that fewer than all orders to trade may be compared, andthat this sampling frequency may be configurable.

Alternatively, the second logic 208 may be further executable by theprocessor 202 to cause the processor 202 to determine the at least onecomparative value of the product as a minimum value of the product overthe duration of time, e.g. the interval i_(n) which just elapsed,maximum value of the product over the duration of time, an average ofthe value of the product over the duration of time, or combinationsthereof. In one embodiment, the comparative value(s) may be computed asa weighted average wherein more recent values are favored over oldervales.

The threshold time, which in one implementation may be the Time SliceCount, defines how far back the system 200 will look, referred to aboveas a “window” or number of active slices or intervals, i.e. how manyintervals will be compared, and may be specified in seconds,milliseconds and/or as a multiple of the duration of time, i.e. intervali_(n), e.g. Time Slice Count. It will be appreciated that differentthreshold times, e.g. asymmetric time windows, may be specified forpositive market changes and negative market changes, such as where therate of negative movement, e.g. a dip, is determined to be more criticalthan the rate of positive market movement, e.g. a spike. It will beappreciated that the threshold time may be set so as not to be less thana minimum amount of time required for a market participant to react to achange in the market, e.g. receive and assimilate market data indicativeof the change and submit an order responsive thereto. In other words,the threshold time should be set so as to allow the market participantsa chance to respond and correct an extreme market change before thesystem 200 reacts thereto as described.

The system 200 further includes third logic 210 stored in the memory 204and executable by the processor 202 to cause the processor 202 todetermine a difference between the identified comparison value, e.g.sample, and each of the determined previously identified comparativevalues. The current sample/comparison value is compared only withpreviously identified comparative values that are within the definedtime window, i.e. within the threshold time of the current time.

The system 200 further includes fourth logic 212 stored in the memory204 and executable by the processor 202 to cause the processor 202 todetermine if any of the determined differences deviate, either higher orlower, from a threshold value. As described above the threshold valuedefines the magnitude of movement, either up (positive) or down(negative), which would be tolerated, e.g. considered normal marketbehavior. The threshold value may be specified in terms compatible withthe values being monitored and compared, such as price ticks, points orother metric. For example, the threshold value may be 10 ticks. If thecomparison value differs from an of the relevant prior comparativevalues but more than 10 ticks, either more than 10 ticks above or morethan 10 ticks below, a deviation is determined. It will be appreciatedthat the threshold values may be asymmetric, i.e. a threshold value maybe specified for positive market changes and a different threshold valuemay be specified for negative market changes, such as where market dipsare considered more critical than market spikes. In one embodiment, thethreshold value(s) may be dynamic and may vary over time, such as frominterval to interval, such as based on market activity, e.g. volume orvolatility.

It will be appreciated that the comparative values and/or the thresholdvalues may be configured such that a comparison subsequent to the elapseof the duration of time may not cause a result different from than hadthe comparison been performed just prior to the elapse of the durationof time. For example, it may be desirable to configure the comparativeand/or threshold values such that an incoming order received after theend of an interval would cause the same result as if that order had beenreceived just prior to the end of that interval.

The system 200 further includes fifth logic 214 stored in the memory 204and executable by the processor 202 to cause the processor 202 toperform an action, when any of the determined differences deviate thethreshold value. That is, if the market moved too far, up or down, toofast, e.g. the slope or gradient of the movement (or angular or othermeasure thereof) vs. the time over which the movement is measured is toosteep, positive or negative, it is determined that a qualifying eventhas occurred, referred to as a “Velocity Logic Event,” and one or moreactions may be take or caused to be taken.

In one embodiment, the action may include placement of the market forthe product in a reserved state, as was described above, such as for alimited time period which may be configurable and may be a static ordynamic value and may vary, among markets. In one embodiment, if duringthe reserved state additional conditions, such as based on whether themarket is recovering to a normal operating state or not as the reservedstate is nearing an end, are met, the time limit for staying in reservedstate may be extended. Alternatively, or in addition thereto, the actionmay include transmission of an alert to an operator of the exchange,such as the GCC of the CME, a trader of the product, or a combinationthereof. Alerts may be sent as market data. Where the market is placedin a reserved state, the alert may further advise the recipient of thisstate. A subsequent message may then be sent when the market is takenout of the reserved state or if the reserved state is extended.Alternatively, or in addition thereto, the action may include permanentor temporary enablement of trading opportunities for the product in adifferent market. For example, implied markets for which the currentproduct may be a leg, etc. may be enabled to create additional matchingopportunities, i.e. additional liquidity. Alternatively, or in additionthereto, the action may include permanent or temporary prevention oftrading of the product at a price outside of a price limit, i.e. aceiling or floor. If the detected extreme movement is downward, thelimit may set as a limit below which trading is not allowed, e.g. afloor. Alternatively, if the detected extreme movement of the market isupward, the limit may be set as a limit above which trading is notallowed, e.g. a ceiling. In one embodiment, if orders to trade aresubsequently received substantially close to, or at, or otherwise withina threshold of, the limit, the limit may be periodically raised (orlowered), such as after a defined delay period, to gradually allow amarket, intent on reaching a particular price, to eventually reach theprice in a controlled manner, e.g. the market is slowed down.

Alternatively, or in addition thereto, the action may include modifyingthe matching/allocation algorithm used to allocate incoming orders toresting orders. For example, if the current matching algorithm isFirst-In-First-Out (“FIFO”), also referred to as Price-Time, thealgorithm may be changed to Pro-Rata. Other algorithms which may be usedinclude Price Explicit Time, Order Level Pro Rata, Order Level PriorityPro Rata, Preference Price Explicit Time, Preference Order Level ProRata, Preference Order Level Priority Pro Rata, Threshold Pro-Rata,Priority Threshold Pro-Rata, Preference Threshold Pro-Rata, PriorityPreference Threshold Pro-Rata, Split Price-Time Pro-Rata. See U.S.patent application Ser. No. 13/534,399 entitled “MULTIPLE TRADE MATCHINGALGORITHMS” herein incorporated by reference.

In one embodiment, the system 200 may further include sixth logic 216stored in the memory 204 and executable by the processor 202 to causethe processor 202 to receive the duration of time, the threshold timeand the threshold value, or other parameters which control the operationof the disclosed embodiments, such as from the operator of the exchangecomputer system, e.g. the GCC of CME. These configurable parametersinclude: which markets to be monitored if not all markets, such as whereperformance constraints limit deployment or where it may be determinedthat some markets are not susceptible to the problems described hereinand therefore need not be monitored; the comparison value (which may bereferred to below as the VL Price or Trade Price), such as whichparameter of the market should be used during the operation of thesystem 200 and/or the initial value thereof, which may be specified as adollar amount, tick value or other metric; the comparative values (whichmay be referred to below as the VL Ref Low and VL Ref High values), suchas which parameter(s) of the market should be used during the operationof the system 200 and/or the initial value(s) thereof, which may bespecified as a dollar amount, tick value or other metric; the durationof time or interval (which may be referred to below as the Time SliceLength) and may be specified as a number of seconds or milliseconds; thethreshold time or window (which may be referred to below as the TimeSlice Count or number of intervals or alternatively as the Time SliceCount * Time Slice Length) and may be specified as a number of intervalsor a length of time, in seconds or milliseconds for example, and may bea multiple of the duration of time/interval/Time Slice Length; thethreshold value (which may be referred to below as the VL Value); theaction(s) to be taken; the time limit for keeping a market in a reservedstate; or other parameters. It will be appreciated that any or all ofthese parameters may be statically defined for application to allmarkets, may vary from market to market and/or may be dynamicallyconfigured/re-configured during operation, either automaticallyresponsive to market conditions or manually, e.g. by the operator of theexchange computer system 100.

FIG. 3 depicts a flow chart showing operation of the system 200 of FIG.2. In particular FIG. 3 shows a computer implemented method formitigating an effect of a change in a market for a product traded on anexchange. The operation includes: monitoring, by a processor 202, themarket for the product (Block 302); identifying, by the processor 202, acomparison value of the product during elapse of a period of time and atleast one comparative value of the product preceding the comparisonvalue and/or upon each elapse of the duration of time and determiningeach previously identified comparative value identified within athreshold time thereof (Block 304); determining, by the processor 202, adifference between the identified comparison value and each of thedetermined previously identified comparative values (Block 306);determining, by the processor 202, if any of the determined differencesdeviate from a threshold value (Block 308); and performing, by theprocessor 202, an action, when any of the determined differences deviatethe threshold value (Block 310.

In one embodiment, the value of the product may include a bid price ofthe product, an ask price of the product, a last traded price of theproduct, a last traded quantity of the product, a volatility of theproduct, or other market attribute value or combination thereof.

In one embodiment, the identifying further includes determining thecomparison value of the product as a value of each order to trade theproduct received during the elapse of the duration of time. It will beappreciated that fewer than all orders to trade may be compared, andthat this sampling frequency may be configurable.

In one embodiment, the identifying further includes determining the atleast one comparative value of the product as a minimum value of theproduct over the duration of time, maximum value of the product over theduration of time, an average of the value of the product over theduration of time, or combinations thereof.

In one embodiment, the threshold time may be specified as a multiple ofthe duration of time, e.g. time slice length multiplied by time slicecount.

In one embodiment, the identifying further includes storing theidentified comparative value(s) in a memory.

In one embodiment, the action may include placing the market for theproduct in a reserved state, sending an alert to an operator of theexchange, a trader of the product, or a combination thereof, enablingtrading opportunities for the product in a different market, preventingtrading of the product at a price outside of a price limit, orcombinations thereof.

The operation of the system 200 may further include receiving, by theprocessor, the duration of time, the threshold time and the thresholdvalue, or other configurable parameters, prior to initiating operationof the system 200 or during the operation thereof, as was descried above(Block 312).

An example of the operation of the system 200 is provided below. In theexamples which follow, the following definitions may be used:

-   -   Agressing/Aggressor order—an order that the engine can attempt        to match against the book;    -   Velocity Logic (“VL”) Event—a condition detected by the system        200 wherein an incoming Velocity Logic eligible Market Event        violates the Floor or Ceiling of a particular Time        Slice/interval;    -   VL, Value (threshold value)—the GCC configured Value that is        added or subtracted to determine the VL Ref High or VL Ref Low        (defined below). This value may be specified as a number of        points only, as opposed to ticks. This value may acts as a +/−        width;    -   Time Slice—a configurable period of time over which market        attributes are tracked and compared, also referred to as an        interval.    -   Time Slice Count—the GCC configured number of Time Slices or        intervals the system 200 should use to detect VL, events;    -   Time Slice Length (duration of time)—the GCC configured length        of time each Time Slice/interval. May be specified as a number        of milliseconds or other time increment;    -   VL Detection Duration=Derived as Time Slice Count * Time Slice        Length. In one embodiment this value is derived from the Time        Slice Count and Time Slice Length values. However it will be        appreciated that this value may instead be specified along with        one of the Time Slice Count or Time Slice Length with the        unspecified value being derived.    -   VL Prices—in the examples which follow, in the Open or        non-reserved state, the system 200 may use these prices to        detect Velocity Logic events:        -   Better Bids/Offers;        -   Trades;        -   Implied Better Bids/Offers;        -   Curve Banding (if on);            -   When using the CurveBanding price, if GCC has configured                an Offset, the Engine will apply the offset to the                CurveBanding price and then utilize this price for                Velocity Logic; or            -   Actionable, tradeable or otherwise executable price.    -   VL Ref High (Comparative Value)—the highest VL Price in a given        Time Slice    -   VL Ref Low (Comparative Value)—the lowest VL Price in a given        Time Slice    -   Floor—derived as VL Ref High−VL Value    -   Ceiling—derived as VL Ref Low +VL Value    -   VL Range=the range that VL detectable market activity can be        within, derived as the Ceiling—Floor.

In one embodiment, the system 200 may be described using OverlappingTime Slices as follows:

Velocity Logic Order of Operations:

-   -   1. Bands are checked first    -   2. Velocity is checked after bands    -   3. Stop Logic is checked only if the order is a Stop order and        after #1 and #2

Velocity Logic Operates as Follows:

1. a. Save the Hi & Lo VL Reference Value of the last Time Slice

-   -   b. Cleanup old VL Ref Vals    -   c. Compare VL Reference Values:        -   i. How to compare:            -   1. Trade Price is less than Lo VL Reference Value+VL                Value            -   2. Trade Price is greater than Hi VL Reference Value−VL                Value        -   ii. What to Compare:            -   1. Current Time Slice            -   2. Prior Time Slice        -   iii. Result            -   1. All comparisons against Current and Prior Time Slices                must be True            -   2. If one comparison is false, VL Event detected.    -   d. Accumulate/Track VL Ref Vals of the Current Time Slice

In exemplary operation wherein a GCC User wishes to detect rapid pricemoves within a specified time, so that the system 200 can identifyVelocity Logic events accurately and efficiently, the system 200 mayoperate as follows (Refer to FIG. 5 for a graph of the values describedbelow):

Configurations:

-   -   VL Value=10    -   Time Slice Count=2    -   Time Slice Length=500 ms    -   VL Detection Duration=1000 ms

Step-by-Step:

-   -   1. Opening trade at 100 in TS:A (Time Slice A)        -   a. VL Reference Value of Current TS: Hi=100, Lo=100    -   2. Trade at 102 in TS:A        -   a. Save VL RefVal of Last Time Slice=n/a        -   b. Cleanup old VL RefVals=n/a        -   c. Compare            -   i. Current Time Slice=(100−10) to (100+10), range is 90                to 110, trade of 102 passes            -   ii. Prior Time Slices=n/a        -   d. Accumulate/Track VL RefVal of Current Time Slice: Hi=102,            Lo=100    -   3. Trade at 105 in TS:A        -   a. Save VL RefVal of Last Time Slice=na        -   b. Cleanup old VL RefVals=n/a        -   c. Compare            -   i. Current Time Slice=(102−10) to (100+10), range is 92                to 110, trade of 105 passes            -   ii. Prior Time Slices=n/a        -   d. Accumulate/Track VL RefVal of Current Time Slice:        -   Hi=105, Lo=100    -   4. Trade at 101 in TS:B        -   a. Save VL RelVal of Last Time Slice—TS:A Hi=105,        -   Lo=100        -   b. Cleanup old VL RefVals=n/a        -   c. Compare            -   i. Current Time Slice=n/a            -   ii. Prior Time Slices=(105−10) to (100 +10), range is 95                to 110, trade of 101 passes        -   d. Accumulate/Track VL RefVal of Current Time Slice:        -   Hi=101, Lo=101    -   5. Trade at 110 in TS:B        -   a. Save VL RefVal of Last Time Slice=n/a        -   b. Cleanup old VL RefVals=n/a        -   c. Compare            -   i. Current Time Slice=(101−10) to (101+10) range is 91                to 111, trade of 110 passes            -   ii. Prior Time Slices=(105−10) to (100+10), range is 95                to 110, trade of 110 passes        -   d. Accumulate/Track VL RefVal of Current Time Slice:    -   Hi=110, Lo=101    -   6. Trade at 108 in TS:C        -   a. Save VL RefVal of Last Time Slice=TS:B=110, Lo=101        -   b. Cleanup old VL RefVals=n/a        -   c. Compare            -   i. Current Time Slice=n/a            -   ii. Prior Time Slices                -   1. TS:B=(110−10) to (101+10), range is 100 to 111                    trade of 108 passes                -   2. TS:A=(105−10) to (100+10), range is 95 to 110,                    trade of 108 passes        -   d. Accumulate/Track VL RefVal of Current Time Slice:    -   Hi=108, Lo=108    -   7. Trade at 111 in TS: D        -   a. Save VL RefVal of Last Time of Current Time Slice:        -   Hi=108, Lo=108        -   b. Cleanup old VL RefVals—clear TS:A values out        -   c. Compare            -   i. Current Time Slice=n/a            -   ii. Prior Time Slices                -   1. TS:C=(108−10) to (108+10), range is 98 to 118,                    trade of 111 passes                -   2. TS:B=(110−10) to (101+10), range is 100 to 111,                    trade of 111 passes        -   d. Accumulate/Track VL RelVal of Current Time Slice:        -   Hi=111, Lo=111    -   8. Trade at 82 in TS:G        -   a. Save VL RefVal of Last Time Slice—TS: D Hi=111, Lo=111        -   b. Cleanup old VL RefVals—clear all values from TS: D and            prior        -   c. Compare            -   i. Current Time Slice=n/a            -   ii. Prior Time Slices=n/a, trade of 82 passes        -   d. Accumulate/Track VL RefVal of Current Time Slice:        -   Hi=82, Lo=82    -   9. Trade at 93 in TS:H        -   a. Save VL RefVal of Last Time Slice—TS:G Hi=82, Lo=82        -   b. Cleanup old VL RefVals=n/a        -   c. Compare            -   i. Current Time Slice=n/a            -   ii. Prior Time Slices=(82−10) to (82+10), range is 72 to                92, trade of 93 fails and is not allowed, VL Event                occurs

Additional examples of operation of the system 200

Given—

-   -   Price Banding is off    -   a VL Value of 10    -   a Time Slice Length of 10000 ms (10 seconds) a Time Slice Count        of 0    -   a Trade of 100

When—

-   -   a Trade of 89 occurs (within the same Time Slice as the Trade of        100)

Then—

-   -   The system 200 should detect a VL event, which results in a        Monitor Message stating “Warning: CLH3 Velocity Logic Event        detected. Trade Price [89], VL Ref Price [100].”

Example 2: wherein the system 200 compares current trades against thecurrent time slice's only trade, so that VL events are detected

Given—

-   -   Price Banding is off    -   a VL Value of 10    -   a Time Slice Length of 10000 ms (10 seconds) a Time Slice Count        of 0    -   a Trade of 100

When—

-   -   a Trade of 111 occurs (within the same Time Slice as the Trade        of 100)

Then—

-   -   The system 200 should detect a VL event, which results in a        Monitor Message stating “Warning: CLH3 Velocity Logic Event        detected. Trade Price [111], VL Ref Price [100].”

Example 3: Wherein only VL Prices in the current Time Slice to trip VL,so that old VL Prices do not cause a VL event:

Given—

-   -   Price Banding is off    -   a VL Value of 10    -   a Time Slice Length of 10000 ms (10 Seconds) a Time Slice Count        of 0    -   a Trade of 100    -   wait 11 seconds

When—

-   -   a Trade of 89 occurs

Then—

-   -   the trade should be allowed and no FAS Monitor Message is        displayed

Example 4

Given—

-   -   Price Banding is off    -   a VL Value of 10    -   a Time Slice Length of 10000 ms (10 Seconds) a Time Slice Count        of 0    -   a Trade of 100    -   wait 11 seconds

When—

-   -   a Trade of 111 occurs

Then—

-   -   the trade should be allowed and no Monitor Message is displayed

In one embodiment, the system 200 may not utilize settlement prices asthe comparison/comparative values. In one embodiment, the system 200 maycompare current trades against the current Time Slice's Best Bid or BestOffer, so that VL events are detected. In one embodiment, the VL Valuemay be added/subtracted in full when calculating the VL Range, so thatthe VL Value acts as a width. In one embodiment, the system 200 maycompare prices to VL Reference Values inclusive of the VL Range, so thatPrices that occur that are equal to the VL Range do not trigger a VLevent. In one embodiment, the system 200 may be enabled or disabled bythe operator of the electronic trading system 100 as to all markets orparticular markets.

In one embodiment, the system 200 uses a VL Reference Value at thebeginning of a Time Slice, so that Velocity Logic can be consistent withcurrent market conditions. This may be tested as follows:

Test 1:

-   -   VL Value=10, TSC=2, TSL=500 ms    -   Trade 1@,100    -   Trade 1@91    -   Wait 500 ms    -   Trade 1@112, VL Event triggered, VL Range violated should be        90−>111

In one embodiment, the VL Reference Values may be cleaned up over time,so that they are not part of Velocity Logic beyond the configured numberof Time Slices. This may be tested as follows:

Test 1:

-   -   VL Value=10, TSC=2, TSL=500 ms    -   Trade 1@100    -   Trade 1@91    -   Wait 1500 ms    -   Trade 1@112, trade is allowed

In one embodiment, the system 200 compares Prices to VL Reference Valueswithin the Current Time Slice and the Prior # of Configured Time Slices,so that there are no gaps in VL detection, This may be tested asfollows:

Test 1:

-   -   VL Value=10, TSC=2, TSL=500 ms    -   Trade 1@100    -   Trade 1@91    -   Wait 500 ms    -   Trade 1@95, within VL Range of TS:1 90−>111, trade passes.    -   Hi/Lo of CTS is 95/95    -   Trade 1@112, VL Event triggered since VL Range of CTS violated        (85−>105)

In one embodiment, the system 200 accumulates prices toward the future,so that prices that occur on the time slice boundary count for theCurrent Time Slice. This may be tested as follows:

Test 1:

-   -   VL Value=10, TSC=2, TSL=500 ms    -   IOP Trade 1@100, Hi/Lo of CTS is 100/100    -   Trade 1@112, VL Event triggered since VL Range of CTS is 90−>110

In one embodiment, the VL, Value may be added/subtracted in full whencalculating the VL Range, so that the VL Value acts as a width. This maybe tested as follows:

Test 1:

-   -   VL Value=10, IXM Tick=0.3333    -   Hi/Lo of CTS is 100/100    -   Trade 1@112, VL Event triggered since VL Range of CTS is 90−>110

In one embodiment, the system 200 compares Prices to VL Reference Valuesinclusive of the VL Range, so that the Prices that occur that are equalto the VL Range do not trigger a VL event. This may be tested asfollows:

Test 1:

-   -   VL Value=10, TSC=2, TSL=500 ms    -   Trade 1@100, Hi/Lo of CTS is 100/100, VL Range is 90−>110    -   Trade 1@91, Hi/Lo of CTS is 100/91, VL Range is 90−>111    -   Trade 1@111, trade passes

In one embodiment, the system 200 uses Time Slice Length to determinethe duration of each Time Slice. This may be tested as follows:

Test 1:

-   -   VL Value=10, TSC=2, TSL=500 ms    -   Trade 1@100    -   Trade 1@91, Hi/Lo of CTS is 100/91, VL Range is 90−>111    -   Wait 1000 ms    -   Trade 1@111, Hi/Lo of CTS is 111/111, VL Range is 91−>121    -   Trade @112, VL Event triggered because 112 violates VL Range of        first Time Slice, 90−>111

in one embodiment, the system 200 uses Time Slice Count to determine howVL RefVals are cleaned up over time, In one embodiment, the system 200derives a VL Detection Duration from the configuration, so that thelength of time that the market will be safeguarded may be known. In oneembodiment, the

VL Reference Value may be specified in points only, rather than ticks,so that exchange operator, e.g. GCC, can configure markets consistently.In one embodiment, the system 200 uses a minimum Time Slice Count of 0,so that the Engine can track the market accurately during a specifiedtime. In one embodiment, the VL Reference Values may age only over time,so that they remain in effect through changes in state. In oneembodiment, the system 200 applies to Spread products, so that thesemarkets can also be safeguarded. In one embodiment, the system 200 maycheck Trade Prices, so that Velocity Logic can detect events accurately.

In one embodiment, the system 200 checks the Arriving Order LimitPrices, so that the system can detect events accurately. For example:

VL Value=10, VL Ref Value Hi=100 Lo=100, VL Range is 90 to 110

Test 1

-   -   Ask 1@109.0    -   Bid 1@111.0        -   w/o VL, Trade occurs 1@109.00        -   w/VL LMT price check, VL Event occurs

Test 2

-   -   Ask 1@109.0    -   Bid 2@111.0        -   w/o VL, Trade occurs 1@109.00, 1@111.0 rests, C.Last 111.0        -   w/VL LMT price check, VL Event occurs

Test 3

-   -   Ask 1@109    -   Ask 1@111    -   Bid 2@111        -   w/o VL. Trade 1@109, Trade 1@111        -   w/VL LMT price check, VL Event occurs

Test 4

-   -   Bid 1@112        -   w/o VL, 1@112 rests        -   w/VL LMT price check, VL Event occurs

In one embodiment, the system 200 checks MKT-Protect and STP-Protectprices, so that the system 200 can detect events accurately.

In one embodiment, the system 200 is configurable so that the system 200can be adapted to meet the needs of different markets.

-   -   VL Warning Value—the price range the market is allowed to move        before an alert is generated. Configuration is needed to        enable/disable and specify the numeric value.    -   Iteration—similar to Stop Logic (“SPL”); the number of        iterations a Velocity Logic action should occur before the        market is allowed to reopen.    -   Reserve Time—the length of time a Velocity Logic iteration will        last.    -   Config is needed for Regular and Extended hours.    -   Reserve Group—when enabled, the ability to have a Velocity Logic        action apply to the instrument and its group.

In one embodiment, the system 200 is applicable to a Group or an IXM, sothat maximum flexibility in adapting the system 200 to a Market'sspecific needs is provided. It will be appreciate that some markets areheavily dependent on lead-month trading activity (e.g. Crude Oil), whileothers have activity across the entire curve (e.g. Euro-Dollar). Theoperator of the exchange computer system 100 should be able to configurethe system 200 such that lead-months are handled differently than therest of a group.

In one embodiment, the system 200 may include a user interface (notshown) coupled with the processor 202 such as may be implemented via thedisplay 414 and user input device 416 which allows the Configurations tobe viewed an that the correct values can be verified for each market,new Configurations to be created, entirely or based on Stop LogicConfiguration values, modify configurations prior to or during operationof the system 200, delete configurations, or combinations thereof.

In one embodiment, Velocity Logic Events may extend when the time haselapsed and the market is outside a value from the starting price, sothat a market does not reopen very far away from the Reference Value. Inone embodiment, a Velocity Logic Event may end when a time has elapsed,so that the Market can resume normal trading. In one embodiment, aVelocity Logic Event may end after a configured number of extensions, onthat the Market can resume normal trading.

One skilled in the art will appreciate that one or more modules or logicdescribed herein may be implemented using, among other things, atangible computer-readable medium comprising computer-executableinstructions (e.g., executable software code). Alternatively, modulesmay be implemented as software code, firmware code, hardware, and/or acombination of the aforementioned. For example the modules may beembodied as part of an exchange 100 for financial instruments.

Referring to FIG. 4, an illustrative embodiment of a general computersystem 400 is shown. The computer system 400 can include a set ofinstructions that can be executed to cause the computer system 400 toperform any one or more of the methods or computer based functionsdisclosed herein. The computer system 400 may operate as a standalonedevice or may be connected, e.g., using a network, to other computersystems or peripheral devices. Any of the components discussed above,such as the processor 202, may be a computer system 400 or a componentin the computer system 400. The computer system 400 may implement amatch engine, margin processing, payment or clearing function on behalfof an exchange, such as the Chicago Mercantile Exchange, of which thedisclosed embodiments are a component thereof.

In a networked deployment, the computer system 400 may operate in thecapacity of a server or as a client user computer in a client-serveruser network environment, or as a peer computer system in a peer-to-peer(or distributed) network environment. The computer system 400 can alsobe implemented as or incorporated into various devices, such as apersonal computer (PC), a tablet PC, a set-top box (STB), a personaldigital assistant (PDA), a mobile device, a palmtop computer, a laptopcomputer, a desktop computer, a communications device, a wirelesstelephone, a land-line telephone, a control system, a camera, a scanner,a facsimile machine, a printer, a pager, a personal trusted device, aweb appliance, a network router, switch or bridge, or any other machinecapable of executing a set of instructions (sequential or otherwise)that specify actions to be taken by that machine. In a particularembodiment, the computer system 400 can be implemented using electronicdevices that provide voice, video or data communication. Further, whilea single computer system 400 is illustrated, the term “system” shallalso be taken to include any collection of systems or sub-systems thatindividually or jointly execute a set, or multiple sets, of instructionsto perform one or more computer functions.

As illustrated in FIG. 4, the computer system 400 may include aprocessor 402, e.g., a central processing unit (CPU), a graphicsprocessing unit (GPU), or both. The processor 402 may be a component ina variety of systems. For example, the processor 402 may be part of astandard personal computer or a workstation. The processor 402 may beone or more general processors, digital signal processors, applicationspecific integrated circuits, field programmable gate arrays, servers,networks, digital circuits, analog circuits, combinations thereof, orother now known or later developed devices for analyzing and processingdata. The processor 402 may implement a software program, such as codegenerated manually (i.e., programmed).

The computer system 400 may include a memory 404 that can communicatevia a bus 408. The memory 404 may be a main memory, a static memory, ora dynamic memory. The memory 404 may include, but is not limited tocomputer readable storage media such as various types of volatile andnon-volatile storage media, including but not limited to random accessmemory, read-only memory, programmable read-only memory, electricallyprogrammable read-only memory, electrically erasable read-only memory,flash memory, magnetic tape or disk, optical media and the like. In oneembodiment, the memory 404 includes a cache or random access memory forthe processor 402. In alternative embodiments, the memory 404 isseparate from the processor 402, such as a cache memory of a processor,the system memory, or other memory. The memory 404 may be an externalstorage device or database for storing data. Examples include a harddrive, compact disc (“CD”), digital video disc (“DVD”), memory card,memory stick, floppy disc, universal serial bus (“USB”) memory device,or any other device operative to store data. The memory 404 is operableto store instructions executable by the processor 402. The functions,acts or tasks illustrated in the figures or described herein may beperformed by the programmed processor 402 executing the instructions 412stored in the memory 404. The functions, acts or tasks are independentof the particular type of instructions set, storage media, processor orprocessing strategy and may be performed by software, hardware,integrated circuits, firm-ware, micro-code and the like, operating aloneor in combination. Likewise, processing strategies may includemultiprocessing, multitasking, parallel processing and the like.

As shown, the computer system 400 may further include a display unit414, such as a liquid crystal display (LCD), an organic light emittingdiode (OLED), a flat panel display, a solid state display, a cathode raytube (CRT), a projector, a printer or other now known or later developeddisplay device for outputting determined information. The display 414may act as an interface for the user to see the functioning of theprocessor 402, or specifically as an interface with the software storedin the memory 404 or in the drive unit 406.

Additionally, the computer system 400 may include an input device 416configured to allow a user to interact with any of the components ofsystem 400. The input device 416 may be a number pad, a keyboard, or acursor control device, such as a mouse, or a joystick, touch screendisplay, remote control or any other device operative to interact withthe system 400.

In a particular embodiment, as depicted in FIG. 4, the computer system400 may also include a disk or optical drive unit 406. The disk driveunit 406 may include a computer-readable medium 410 in which one or moresets of instructions 412, e.g. software, can be embedded. Further, theinstructions 412 may embody one or more of the methods or logic asdescribed herein. In a particular embodiment, the instructions 412 may,reside completely, or at least partially, within the memory 404 and/orwithin the processor 402 during execution by the computer system 400.The memory 404 and the processor 402 also may include computer-readablemedia as discussed above.

The present disclosure contemplates a computer-readable medium thatincludes instructions 412 or receives and executes instructions 412responsive to a propagated signal, so that a device connected to anetwork 420 can communicate voice, video, audio, images or any otherdata over the network 420. Further, the instructions 412 may betransmitted or received over the network 420 via a communicationinterface 418. The communication interface 418 may be a part of theprocessor 402 or may be a separate component. The communicationinterface 418 may be created in software or may be a physical connectionin hardware. The communication interface 418 is configured to connectwith a network 420, external media, the display 414, or any othercomponents in system 400, or combination thereof. The connection withthe network 420 may be a physical connection, such as a wired Ethernetconnection or may be established wirelessly as discussed below.Likewise, the additional connections with other components of the system400 may be physical connections or may be established wirelessly.

The network 420 may include wired networks, wireless networks, orcombinations thereof. The wireless network may be a cellular telephonenetwork, an 802.11, 802.16, 802.20, or WiMax network. Further, thenetwork 420 may be a public network, such as the Internet, a privatenetwork, such as an intranet, or combinations thereof, and may utilize avariety of networking protocols now available or later developedincluding, but not limited to TCP/IP based networking protocols.

Embodiments of the subject matter and the functional operationsdescribed in this specification can be implemented in digital electroniccircuitry, or in computer software, firmware, or hardware, including thestructures disclosed in this specification and their structuralequivalents, or in combinations of one or more of them. Embodiments ofthe subject matter described in this specification can be implemented asone or more computer program products, i.e., one or more modules ofcomputer program instructions encoded on a computer readable medium forexecution by, or to control the operation of, data processing apparatus.While the computer-readable medium is shown to be a single medium, theterm “computer-readable medium” includes a single medium or multiplemedia, such as a centralized or distributed database, and/or associatedcaches and servers that store one or more sets of instructions. The term“computer-readable medium” shall also include any medium that is capableof storing, encoding or carrying a set of instructions for execution bya processor or that cause a computer system to perform any one or moreof the methods or operations disclosed herein. The computer readablemedium can be a machine-readable storage device, a machine-readablestorage substrate, a memory device, or a combination of one or more ofthem. The term “data processing apparatus” encompasses all apparatus,devices, and machines for processing data, including by way of example aprogrammable processor, a computer, or multiple processors or computers.The apparatus can include, in addition to hardware, code that creates anexecution environment for the computer program in question, e.g., codethat constitutes processor firmware, a protocol stack, a databasemanagement system, an operating system, or a combination of one or moreof them.

In a particular non-limiting, exemplary embodiment, thecomputer-readable medium can include a solid-state memory such as amemory card or other package that houses one or more non-volatileread-only memories. Further, the computer-readable medium can be arandom access memory or other volatile re-writable memory. Additionally,the computer-readable medium can include a magneto-optical or opticalmedium, such as a disk or tapes or other storage device to capturecarrier wave signals such as a signal communicated over a transmissionmedium. A digital file attachment to an e-mail or other self-containedinformation archive or set of archives may be considered a distributionmedium that is a tangible storage medium. Accordingly, the disclosure isconsidered to include any one or more of a computer-readable medium or adistribution medium and other equivalents and successor media, in whichdata or instructions may be stored.

In an alternative embodiment, dedicated hardware implementations, suchas application specific integrated circuits, programmable logic arraysand other hardware devices, can be constructed to implement one or moreof the methods described herein. Applications that may include theapparatus and systems of various embodiments can broadly include avariety of electronic and computer systems. One or more embodimentsdescribed herein may implement functions using two or more specificinterconnected hardware modules or devices with related control and datasignals that can be communicated between and through the modules, or asportions of an application-specific integrated circuit. Accordingly, thepresent system encompasses software, firmware, and hardwareimplementations.

In accordance with various embodiments of the present disclosure, themethods described herein may be implemented by software programsexecutable by a computer system. Further, in an exemplary, non-limitedembodiment, implementations can include distributed processing,component/object distributed processing, and parallel processing.Alternatively, virtual computer system processing can be constructed toimplement one or more of the methods or functionality as describedherein.

Although the present specification. describes components and functionsthat may be implemented in particular embodiments with reference toparticular standards and protocols, the invention is not limited to suchstandards and protocols. For example, standards for Internet and otherpacket switched network transmission (e.g., TCP/IP, UDP/IP, HTML, HTTP,HTTPS) represent examples of the state of the art. Such standards areperiodically superseded by faster or more efficient equivalents havingessentially the same functions. Accordingly, replacement standards andprotocols having the same or similar functions as those disclosed hereinare considered equivalents thereof.

A computer program (also known as a program, software, softwareapplication, script, or code) can be written in any form of programminglanguage, including compiled or interpreted languages, and it can bedeployed in any form, including as a standalone program or as a module,component, subroutine, or other unit suitable for use in a computingenvironment. A computer program does not necessarily correspond to afile in a file system. A program can be stored in a portion of a filethat holds other programs or data (e.g., one or more scripts stored in amarkup language document), in a single file dedicated to the program inquestion, or in multiple coordinated files (e.g., files that store oneor more modules, sub programs, or portions of code). A computer programcan be deployed to be executed on one computer or on multiple computersthat are located et one site or distributed across multiple sites andinterconnected by a communication network.

The processes and logic flows described in this specification can beperformed by one or more programmable processors executing one or morecomputer programs to perform functions by operating on input data andgenerating output. The processes and logic flows can also be performedby, and apparatus can also be implemented as, special purpose logiccircuitry, e.g., an FPGA (field programmable gate array) or an ASIC(application specific integrated circuit).

Processors suitable for the execution of a computer program include, byway of example, both general and special purpose microprocessors, andanyone or more processors of any kind of digital computer. Generally, aprocessor will receive instructions and data from a read only memory ora random access memory or both. The essential elements of a computer area processor for performing instructions and one or more memory devicesfor storing instructions and data. Generally, a computer will alsoinclude, or be operatively coupled to receive data from or transfer datato, or both, one or more mass storage devices for storing data, e.g.,magnetic, magneto optical disks, or optical disks. However, a computerneed not have such devices. Moreover, a computer can be embedded inanother device, e.g., a mobile telephone, a personal digital assistant(PDA), a mobile audio player, a Global Positioning System (GPS)receiver, to name just a few. Computer readable media suitable forstoring computer program instructions and data include all forms of nonvolatile memory, media and memory devices, including by way of examplesemiconductor memory devices, e.g., EPROM, EEPROM, and flash memorydevices; magnetic disks, e.g., internal hard disks or removable disks;magneto optical disks; and CD ROM and DVD-ROM disks. The processor andthe memory can be supplemented by, or incorporated in, special purposelogic circuitry.

To provide for interaction with a user, embodiments of the subjectmatter described in this specification can be implemented on a devicehaving a display, e.g., a CRT (cathode ray tube) or LCD (liquid crystaldisplay) monitor, for displaying information to the user and a keyboardand a pointing device, e.g., a mouse or a trackball, by which the usercan provide input to the computer. Other kinds of devices can be used toprovide for interaction with a user as well; for example, feedbackprovided to the user can be any form of sensory feedback, e.g., visualfeedback, auditory feedback, or tactile feedback; and input from theuser can be received in any form, including acoustic, speech, or tactileinput.

Embodiments of the subject matter described in this specification can beimplemented in a computing system that includes a back end component,e.g., as a data server, or that includes a middleware component, e.g.,an application server, or that includes a front end component, e.g., aclient computer having a graphical user interface or a Web browserthrough which a user can interact with an implementation of the subjectmatter described in this specification, or any combination of one ormore such back end, middleware, or front end components. The componentsof the system can be interconnected by any form or medium of digitaldata communication, e.g., a communication network. Examples ofcommunication networks include a local area network (“LAN”) and a widearea network (“WAN”), e.g., the Internet.

The computing system can include clients and servers, A client andserver are generally remote from each other and typically interactthrough a communication network. The relationship of client and serverarises by virtue of computer programs running on the respectivecomputers and having a client-server relationship to each other.

The illustrations of the embodiments described herein are intended toprovide a general understanding of the structure of the variousembodiments. The illustrations are not intended to serve as a completedescription of all of the elements and features of apparatus and systemsthat utilize the structures or methods described herein. Many otherembodiments may be apparent to those of skill in the art upon reviewingthe disclosure. Other embodiments may be utilized and derived from thedisclosure, such that structural and logical substitutions and changesmay be made without departing from the scope of the disclosure.Additionally, the illustrations are merely representational and may notbe drawn to scale. Certain proportions within the illustrations may beexaggerated, while other proportions may be minimized. Accordingly, thedisclosure and the figures are to be regarded as illustrative ratherthan restrictive.

While this specification contains many specifics, these should not beconstrued as limitations on the scope of the invention or of what may beclaimed, but rather as descriptions of features specific to particularembodiments of the invention. Certain features that are described inthis specification in the context of separate embodiments can also beimplemented in combination in a single embodiment. Conversely, variousfeatures that are described in the context of a single embodiment canalso be implemented in multiple embodiments separately or in anysuitable sub-combination. Moreover, although features may be describedabove as acting in certain combinations and even initially claimed assuch, one or more features from a claimed combination can in some casesbe excised from the combination, and the claimed combination may bedirected to a sub-combination or variation of a sub-combination.

Similarly, while operations are depicted in the drawings and describedherein in a particular order, this should not be understood as requiringthat such operations be performed in the particular order shown or insequential order, or that all illustrated operations be performed, toachieve desirable results. In certain circumstances, multitasking andparallel processing may be advantageous. Moreover, the separation ofvarious system components in the embodiments described above should notbe understood as requiring such separation in all embodiments, and itshould be understood that the described program components and systemscan generally be integrated together in a single software product orpackaged into multiple software products.

One or more embodiments of the disclosure may be referred to herein,individually and/or collectively, by the term “invention” merely forconvenience and without intending to voluntarily limit the scope of thisapplication to any particular invention or inventive concept. Moreover,although specific embodiments have been illustrated and describedherein, it should be appreciated that any subsequent arrangementdesigned to achieve the same or similar purpose may be substituted forthe specific embodiments shown. This disclosure is intended to cover anyand all subsequent adaptations or variations of various embodiments.Combinations of the above embodiments, and other embodiments notspecifically described herein, will be apparent to those of skill in theart upon reviewing the description.

The Abstract of the Disclosure is provided to comply with 37 C.F.R.§1.72(b) and is submitted with the understanding that it will not beused to interpret or limit the scope or meaning of the claims. Inaddition, in the foregoing Detailed Description, various features may begrouped together or described in a single embodiment for the purpose ofstreamlining the disclosure. This disclosure is not to be interpreted asreflecting an intention that the claimed embodiments require morefeatures than are expressly recited in each claim. Rather, as thefollowing claims reflect, inventive subject matter may be directed toless than all of the features of any of the disclosed embodiments. Thus,the following claims are incorporated into the Detailed Description,with each claim standing on its own as defining separately claimedsubject matter.

It is therefore intended that the foregoing detailed description beregarded as illustrative rather than limiting, and that it be understoodthat it is the following claims, including all equivalents, that areintended to define the spirit and scope of this invention.

What is claimed is:
 1. A computer-implemented method for mitigating aneffect of a change in a market for a product traded on an exchange, thechange in the market comprising a negative movement and/or a positivemovement, the method comprising: monitoring by a processor, the marketfor the product; identifying, by the processor, a comparison value ofthe product during each elapse of a duration of time and at least onecomparative value of the product upon each elapse of the duration oftime and determining each previously identified comparative valueidentified within a threshold time thereof, wherein the threshold timefor a positive movement is different than the threshold time for anegative movement; determining, by the processor, a difference betweenthe identified comparison value and each of the determined previouslyidentified comparative values; determining, by the processor, if any ofthe determined differences deviates from a threshold value; andperforming, by the processor, an action, when any of the determineddifferences deviates from the threshold value.
 2. Thecomputer-implemented method of claim 1 wherein the change in the marketcomprises a negative movement, and wherein the threshold time is atleast equal to a minimum amount of time needed by a market participantto react to the negative movement and submit an order responsivethereto.
 3. The computer-implemented method of claim 1 wherein theaction is not performed until the threshold time is at least equal to aminimum amount of time needed by a market participant to react to thechange in the market and submit an order responsive thereto.
 4. Thecomputer-implemented method of claim 1 wherein the value of the productcomprises a bid price of the product, an ask price of the product, alast traded price of the product, a last traded quantity of the product,a volatility of the product, market attribute, or a combination thereof.5. The computer-implemented method of claim 4 wherein the identifyingfurther comprises determining the comparison value of the product as avalue of each order to trade the product received during the elapse ofthe duration of time.
 6. The computer-implemented method of claim 4wherein the identifying further comprises determining the at least onecomparative value of the product as a minimum value of the product overthe duration of time, maximum value of the product over the duration oftime, an average of the value of the product over the duration of time,or combinations thereof.
 7. The computer-implemented method of claim 1wherein the threshold time comprises a multiple of the duration of time.8. The computer-implemented method of claim 1 wherein the actioncomprises placing the market for the product in a reserved state.
 9. Thecomputer-implemented method of claim 1 wherein the action comprisessending an alert to an operator of the exchange, a trader of theproduct, or a combination thereof.
 10. The computer-implemented methodof claim 1 wherein the action comprises enabling trading opportunitiesfor the product in a different market.
 11. The computer-implementedmethod of claim 1 wherein the action comprises preventing trading of theproduct at a price outside of a price limit.
 12. Thecomputer-implemented method of claim 1 further comprising: receiving, bythe processor, the duration of time, the threshold time and thethreshold value.
 13. A system for mitigating an effect of a change in amarket for a product traded on an exchange, the change in the marketcomprising a negative movement and/or a positive movement, the systemcomprising: first logic stored in a memory and executable by a processorto cause the processor to monitor the market for the product; secondlogic stored in a memory and executable by a processor to cause theprocessor to identify a comparison value of the product during eachelapse of a duration of time and at least one comparative value of theproduct upon each elapse of the duration of time and determining eachpreviously identified comparative value identified within a thresholdtime thereof, wherein the threshold time for a positive movement isdifferent than the threshold time for a negative movement; third logicstored in a memory and executable by a processor to cause the processorto determine a difference between the identified comparison value andeach of the determined previously identified comparative values; fourthlogic stored in a memory and executable by a processor to cause theprocessor to determine if any of the determined differences deviate froma threshold value; and fifth logic stored in a memory and executable bya processor to cause the processor to perform an action, when any of thedetermined differences deviate from the threshold value.
 14. The systemof claim 13 wherein the change in the market comprises a negativemovement, and wherein the threshold time is at least equal to a minimumamount of time needed by a market participant to react to the negativemovement and submit an order responsive thereto.
 15. The system of claim13 wherein the action is not performed until the threshold time is atleast equal to a minimum amount of time needed by a market participantto react to the change in the market and submit an order responsivethereto.
 16. The system of claim 13 wherein the value of the productcomprises a bid price of the product, an ask price of the product, alast traded price of the product, a last traded quantity of the product,a volatility of the product, market attribute, or a combination thereof.17. The system of claim 13 wherein the action comprises placement of themarket for the product in a reserved state.
 18. The system of claim 13wherein the action comprises transmission of an alert to an operator ofthe exchange, a trader of the product, or a combination thereof.
 19. Thesystem of claim 13 wherein the action comprises enablement of tradingopportunities for the product in a different market.
 20. The system ofclaim 13 wherein the action comprises prevention of trading of theproduct at a price outside of a price limit.
 21. A system for mitigatingan effect of a change in a market for a product traded on an exchange,the change in the market comprising a negative movement and/or apositive movement, the system comprising: means for monitoring themarket for the product; means for identifying a comparison value of theproduct during each elapse of a duration of time and at least onecomparative value of the product upon each elapse of the duration oftime and determining each previously identified comparative valueidentified within a threshold time thereof, wherein the threshold timefor a positive movement is different than the threshold time for anegative movement; means for determining a difference between theidentified comparison value and each of the determined previouslyidentified comparative values; means for determining if any of thedetermined differences deviate from a threshold value; and means forperforming an action, when any of the determined differences deviatefrom the threshold value.